You can use a cat5/cat5e cable to link xbox to xbox if the cable is configured in crossover style. You can make the cable your self for much cheaper than you can buy it if you have RJ-45 Connectors and a Crimper.

You also can use regular (straight through) ethernet cables and an Ethernet hub. You have to have two cables. Plug one into one Xbox and the second into the second Xbox, then plug them into the hub. You can link more than 2 together if you have a cable for each and enough slots in your hub.